Host: Kevin Davitt, Senior Instructor, Cboe Options Institute
  • Large caps and Big Tech closed slightly lower last week, while small caps continue to outperform for the month. At the time of recording, the S&P 500 is up slightly higher, with Big Tech lagging and the Russell 2000 Index nearing record highs.
  • 30-day S&P 500 Index realized volatility remains in the low 20s and one-month forward volatility is at 23.50. The VIX Index is bouncing along the low end of its multi-month range. The index has not dipped below 20 since late February.
  • AstraZeneca and the University of Oxford published study results for a third potential COVID-19 vaccine today. Manufacturing data was strong this morning, but uncertainty around the potential for a new stimulus package remains. …

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Effective Monday, December 7, the EDGX Early Trading session will begin at 4 a.m. ET. The reason we made this change is simple: we heard you. We take customer feedback seriously, so when we heard calls for earlier trading, we looked for a way to make it happen. …

Host: Jermal Chandler, Senior Instructor, Cboe Options Institute

· The S&P 500 Index is just above 3,500 today. The VIX Index is at 23.12, with its 10-day realized volatility at 17 and its 30-day realized volatility just over 20.

· Interest in industrials and materials is up, while tech decreased until slightly rebounding today. This may be due to new stay-at-home advisories as COVID-19 cases rise.

· The VIX futures term structure shows December futures at 24.50 and January to July 2021 futures trading between 25.85 and 26.05.

· Today in VIX options, 12,000 February 95 calls were bought for .28 each.

To learn more visit Cboe’s website.

Host: Joe Tigay, Chief Trading Officer, Equity Armor Investments

· Markets are quiet today with some consolidation happening as the markets reach all-time highs and find new leadership. The Russell 2000 Index is also nearing another all-time high and the NASDAQ is trending up, as well.

· The VIX Index is below 23. There may be an indication that the markets are stabilizing if it falls below 20.

· VIX futures are falling along with the VIX Index, but the VVIX Index is still up, near 115. Movement could shift either way and markets should be cautious of a pull-back due to continued consolidation.

To learn more visit Cboe’s website.

Target Outcome Indices are options-based strategy benchmarks designed to provide targeted returns relative to a referenced U.S. domestic stock market index, and in the case of buffer protect strategies, to limit downside risk.

Cboe’s current lineup of Target Outcome Indices, includes more than 115 indices, each designed to minimize risk and lock in growth. Most recently, Cboe expanded its family of Target Outcome Indices with the addition of two series of indices tied to the Russell 2000 Index: the Cboe Russell 2000 Enhanced Growth Index Series (RPEN) and Cboe Russell 2000 Buffer Protect Index Series (RPRO). …

When we notice a new trading trend, we look for ways that we can improve our exchanges to better fit the way our customers use them. As closing auctions become an increasingly important part of the trading day, we wanted to uncover ways to enhance end-of-the-day trading for market participants. In our latest analysis, we explore how closing auction events impact volumes, and share how upcoming changes to the close on Cboe’s BZX exchange may benefit participants.

Closing Time

The opening and closing prints typically make up the largest individual trades for the day, and trading near the close has steadily gained more popularity over time. In October the closing auction made up about 4.5% of total market volume, as seen in Figure 1 below. …

Host: Russell Rhoads, Head of Research and Consulting, EQ Derivatives

· The S&P 500 Index began the day down 18 points. In response, the VIX Index rose to 22.85.

· Standard November VIX futures expire tomorrow morning, making December, currently around 24.30, the front month. The December VIX futures usually face holiday headwinds, as it settles into S&P 500 Index options that expire just after Christmas, New Year’s and Martin Luther King Jr. Day.

· January to July VIX futures are trading within $0.40 of each other, signaling uncertainty in the markets.

· S&P 500 Index options that expire a week before the Georgia Senate runoff election are showing an implied volatility of 18.72 and those that expire just after are up to 19.86. These numbers show that markets are bracing for results.

· In trading today, a December 20/22 VIX options 2x3 ratio put spread traded for $1.12.

To learn more visit Cboe’s website.

Host: Kevin Davitt, Senior Instructor, Cboe Options Institute

· Moderna vaccine tests show a 94.5% efficacy rate, driving the S&P 500 Index even higher. Similar to Pfizer’s vaccine, Moderna’s vaccine uses messenger RNA to target virus spikes.

· The VIX Index is measuring at the low end of its recent range, currently below 23, as of recording. The November VIX futures will expire on Wednesday morning and the January to July VIX futures are trading within $0.20 of each other.

· Today, the S&P 500 Index is up around 1% and VIX options trading has been very active. A November 26/23 VIX options put spread was rolled out to the December 22/19 VIX options put spread for a $1.10 credit.

· This week: domestic and international central bank speakers, a few earnings announcements remain and updates about COVID-19 and potential vaccines.

To learn more visit Cboe’s website.

Host: Dan Deming, Managing Director, KKM Financial
  • The VIX Index is pushing down near the 23 level, hovering around its lowest level in the past two and a half months.
  • 10-day realized volatility saw an 11-point drop from 30 to 19, and 30-day realized volatility is holding around 21.
  • The VIX futures term structure is shifting towards contango as it moves toward expiration next week. The November — December VIX futures widened out to $1.20 and December — January is at $0.70.
  • The VVIX Index is down from 120 to 115 today, which is still elevated.
  • Next week: expirations, market trends with pressure on the VIX Index, retail sales numbers, big box earnings and stimulus talks.

To learn more visit Cboe’s website.

Host: Jermal Chandler, Senior Instructor, Cboe Options Institute

· There is dispersion in the market as traders try to figure out new U.S. government policies for 2021. The dispersion is leading to a lot of reds and greens in S&P 500 Index sectors as stocks move up and down, rotating in and out of value and growth.

· Bank research desks are updating their year-end and 2021 targets around the S&P 500 Index and the 10-year yield.

· Initial jobless claims fell by the most in five weeks today while COVID-19 cases are on the rise.

· The VIX Index is in the mid-20s, and the number of closing trades is up this week. The VIX futures curve still has strong contango in the front with a new peak in January, around Inauguration Day. …


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